为什么MBS相当于一个Callable bond？

问题如下：

Chen is a fixed-income portfolio manager who manages a fixed-income portfolio in a wealth management firm. The mandate of the fund allows the portfolio’s duration fluctuate ±0.3 from its benchmark duration and the fund’s current duration equals to that of benchmark. The yield curve is upward sloping and Chen believes the yield curve will remain stable over the next 12-month. Relevant information about the position of the portfolio is shown below:

Based on Chen’s expectations, Wang, a junior analyst in the company, proposed three different duration-neutral strategies:

Strategy 1: Sell the 15-year bonds and use the proceeds to buy appropriate amount of MBS, leaving the effective duration of the portfolio unchanged before and after this strategy.

Strategy 2: Sell a portion of 10-year bonds in the portfolio and buy call options on 15-year bond futures, leaving the effective duration of the portfolio unchanged before and after this strategy.

Strategy 3: Sell the existing MBS (effective duration of this MBS is 2.88) in the current portfolio and use the proceeds to buy the 3-year bond.

According to the information above, which one of the strategies would perform best?

选项：

Strategy 1

Strategy 2

Strategy 3

解释：

答案：A is correct.

考点：考察收益率曲线Stable时对应的策略

解析：

已知预期收益率曲线会保持稳定。

三个策略都是Duration-neutral的策略，其中对于策略1，卖出15年期的普通债券，同时买入MBS债券，并且保持买卖前后整个portfolio的effective duration不变。

因为MBS相当于一个Callable bond，发行人持有一个Call option，因此对于这类债券的投资者而言，相当于卖出了一个Option给了债券发行人，这样降低了债券的Convexity。

因此，策略1就是卖出15年期的普通债券，买了一个Convexity更低的债券，同时保持整个portfolio的Effective duration不变，在收益率曲线稳定时，该策略有效。

Strategy 2,3都会增加portfolio的Convexity，由于获得Convexity需要支出一定的成本，而预测收益率曲线稳定，稳定的收益率曲线无法享受Convexity带来的涨多跌少的特性，因此这样的策略会拖累整个组合的收益。